Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0151 |
| Annualized Std Dev | 0.2363 |
| Annualized Sharpe (Rf=0%) | -0.0640 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3575.0000 |
| NAs | 1.0000 |
| Minimum | -0.0736 |
| Quartile 1 | -0.0079 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0081 |
| Maximum | 0.0852 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | 0.0063 |
| Kurtosis | 2.3551 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6279 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0339 |
| Modified VaR (95%) | -0.0237 |
| Modified ES (95%) | -0.0343 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-07 | 2009-02-23 | NA | -0.6279 | 3494 | 454 | NA |
| 2007-01-12 | 2007-02-07 | 2007-02-23 | -0.0917 | 29 | 18 | 11 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0796 | 26 | 5 | 21 |
| 2007-04-10 | 2007-04-12 | 2007-04-17 | -0.0240 | 6 | 3 | 3 |
| 2007-04-18 | 2007-04-19 | 2007-05-01 | -0.0229 | 10 | 2 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -1.1 | -0.9 | -0.3 | 1.4 | -1.2 | -0.3 | -1.2 | 1.6 | 1.1 | -1.1 | 2.2 | -1.4 | -1.3 |
| 2008 | -1.7 | -2.3 | -0.4 | -3.3 | 1.4 | 0.8 | -2.1 | 0.2 | -1.4 | -0.8 | -4.7 | 4.7 | -9.4 |
| 2009 | -0.6 | 0 | -1.4 | 4.2 | 5.7 | 3.3 | 1.4 | -1.2 | -1.9 | -3.1 | 1.9 | -0.7 | 7.4 |
| 2010 | 1.7 | 1.2 | 1.1 | 0.2 | -2.5 | -0.8 | 1.3 | 2.7 | 1 | 0.6 | 3.7 | 1.2 | 11.7 |
| 2011 | 2 | -0.6 | 0 | -1.4 | -1.8 | 0.2 | -1.5 | -1.5 | -4.3 | -3.6 | -0.8 | 1 | -11.9 |
| 2012 | 0.5 | 1.7 | -0.2 | 0 | -0.8 | 4.7 | -2.2 | 0.6 | 0.6 | 1.6 | 1.5 | 1.4 | 9.6 |
| 2013 | 1.2 | -1.7 | -1.1 | -2.8 | -0.6 | 2.5 | 0.5 | -1.2 | -1.3 | -0.6 | 0.1 | -0.2 | -5.1 |
| 2014 | -1.5 | -0.5 | 0.1 | -0.8 | -0.4 | -0.8 | -0.7 | 0.4 | -0.5 | 0.2 | 1.2 | -0.8 | -4 |
| 2015 | 2 | -0.1 | 0.3 | 0.3 | -0.3 | 1.7 | -1.5 | -1 | -0.8 | 0 | 1.3 | -1 | 0.9 |
| 2016 | 0.5 | 0.7 | 1.1 | 1.6 | 1.4 | 1.2 | -0.4 | 0.7 | 0.7 | 0 | 0.5 | 1.2 | 9.6 |
| 2017 | -0.4 | 1.2 | -1.2 | 1.4 | -0.4 | 0.8 | -0.6 | 0.9 | -0.7 | 0.3 | 1.7 | -0.2 | 2.8 |
| 2018 | 0.9 | -0.1 | 0 | -0.6 | -0.1 | -1 | -2.6 | -0.1 | 1 | 1.9 | 1.4 | -0.1 | 0.5 |
| 2019 | -0.4 | 0 | -0.6 | -2.2 | -0.9 | -0.9 | -1.4 | -0.6 | -0.6 | 1.5 | -0.9 | -1.5 | -8.3 |
| 2020 | -0.6 | -0.2 | -2.3 | -1.1 | -0.1 | 0.7 | -0.3 | 0.4 | -2.9 | 0.1 | 1.2 | -0.3 | -5.4 |
| 2021 | 0.1 | -0.4 | 2.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
